Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling

• 成果类型: Article
• 署名作者: Dana, R. A.; Le Van, C.
• 署名单位: Universite PSL; Universite Paris-Dauphine; University of Exeter; Paris School of Economics
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2010.08.002
• 发表日期: 2010
• 页码: 2186-2202
• 关键词: uncertainty; RISK; common prior; Equilibria with short-selling; Variational preferences

摘要

The theory of existence of equilibrium with short-selling is reconsidered under risk and ambiguity modelled by risk averse variational preferences. No-arbitrage conditions are given in terms of risk adjusted priors. A sufficient condition for existence of efficient allocations is the overlapping of the interiors of the risk adjusted sets of priors or the inexistence of mutually compatible trades, with non-negative expectation with respect to any risk adjusted prior. These conditions are necessary when agents are not risk neutral at extreme levels of wealths. It is shown that the more uncertainty averse or risk averse the agents, the more likely are efficient allocations and equilibria to exist. (C) 2010 Published by Elsevier Inc.